On-prem connectivity to another remote network via an Azure VPN?

I have an on-prem network and another client has a network in Azure.
The goal is to allow our on-prem network be able to talk/connect to a network in that client's Azure network.
However they say we can't use a VPN from our on-prem firewall to go to their Azure VPN gateway. But rather, we would have to establish a tunnel from an Azure we have to their Azure.
My question is, how could I then allow our devices to talk to their network if we do that?
I have an Azure VPN IP Sec established to our own on-prem firewall.
Do I add another connection in our Azure gateway and go configure somewhere to re-route any connections to the remote vendor network through it if it's coming our on-prem network?